Subtitles should be in same folder as video and named exactly the same as video file or you can use the free program mkvtoolnix and mux the video and subtitle files into a single mkv container.
I have never gotten subtitles to work. I'm talking about in the Home Media Player and the LG Player, not the Plex Media app. I'm only using the Players. VLC on the Mac will use the .srt file in the folder or play the line 21 vertical blanking data. A .srt file would be difficult with the Plex Server cutting out commercials from OTA recordings but the VB data is in the file. I've tried turning on the C C track on the TV but it doesn't read off of the player video and with downloaded movies the players don't read the .srt files (or others, I've tried all of the subtile formats) I'm sure the Plex Media app reads these, but I guess the other Players are doing their own things. Pic is showing the presence of subtitles in the files.